Fri, Feb 23, 2018
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Parker FX Index -0.33% in June, +1.51% YTD

Thursday, July 25, 2013
Opalesque Industry Update - The Parker FX Index is reporting a -0.33% return for the month of June. Forty-one of the forty-three programs in the Index reported June 2013 results, of which fifteen reported positive results and twenty-six incurred losses. On a risk-adjusted basis, the Index was down -0.14% in June. The median return for the month was -0.23%, while the performance for June ranged from a high of +11.02% to a low of -5.67%.

In addition to the broad Parker FX Index, there are two style driven sub-indices: the Parker Systematic Index, which tracks those managers whose decision process is rule based, and the Parker Discretionary Index, which tracks managers whose decision process is judgmental. During June, the Systematic Index was down -0.32% and the Discretionary Index was down -0.34%. On a risk-adjusted basis, the Parker Systematic Index was down -0.12% and the Parker Discretionary Index was down -0.25%.

The top three performing constituent programs for the month of June on a reported basis, returned +11.02%, +3.77% and +1.85%, respectively. The top three performers on a risk-adjusted basis returned +3.73%, +1.57% and +1.10%, respectively.

The US dollar strengthened versus other G-10 currencies following the Federal Reserve’s comments that the central bank may gradually slow or end the quantitative easing programs. The rally gradually faded after disappointing US GDP data prompted investors to question the likelihood of the Federal Reserve changing course. Elsewhere, the yen’s decline versus the dollar reversed as the currency strengthened by 1.58%. Emerging market currencies were negatively impacted by the diminished growth targets and higher rates in the US.

The Parker FX Index is a performance-based benchmark that measures both the reported and the risk adjusted returns of global currency managers. It is the first index used to analyze unleveraged (risk-adjusted) performance in order to calculate pure currency alpha, or manager skill. The 330-month compounded annual return since inception (January, 1986 through June, 2013) is up +10.48% on a reported basis and up +2.94% on a risk adjusted basis.

press release

parkerglobal.com

Bg

What do you think?

   Use "anonymous" as my name    |   Alert me via email on new comments   |   
Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing

 



  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Opalesque Exclusive: Global Sigma captures February's long-vol trade[more]

    Bailey McCann, Opalesque New York for New Managers: Florida-based Global Sigma rode February's volatility to new highs. The firm's AGSF strategy is up +2.8 percent through February 16 and +4.2 percent YTD a

  2. Art & Motion launches collectible car alternative investment vehicle[more]

    Komfie Manalo, Opalesque Asia: Luxembourg-based Art & Motion has launched a new investment vehicle dedicated to vintage cars and exceptional high-quality vehicles as this collectible market has grown exponentially the turn of the centu

  3. Investing - Hedge funds turn short on tech just as stock rally takes off, After biggest short, speculators slash bearish US bond bets as supply deluge looms[more]

    Hedge funds turn short on tech just as stock rally takes off From Newsmax.com: A key group of investors has just missed out on the biggest tech-stock rally since 2014. Hedge funds and other large speculators turned net short on Nasdaq 100 Index futures for the first time in 21 months, ac

  4. Low volatility funds fail to protect investors[more]

    From FT.com: A number of exchange traded funds (ETFs) designed to protect investors from sharp stock market gyrations lost more money than mainstream US stocks during a sell-off this month, underperforming in precisely the conditions in which they were meant to thrive. Low volatility ETFs, lau

  5. Legal - Hedge funds fight to save M&A arbitrage strategy, Fannie Mae and Freddie Mac ruling blow to hedge funds[more]

    Hedge funds fight to save M&A arbitrage strategy From FT.com: Hedge funds which use the US courts to wring higher prices for merger and acquisition deals are fighting to save the lucrative investment strategy, after a Delaware court ruling that threatens to shut it down. Verition Partner